Details about Bernd Wilfling

Access statistics for papers by Bernd Wilfling.

Last updated 2024-08-24. Update your information in the RePEc Author Service.

Short-id: pwi156

Working Papers

2024

1. Extracting stock-market bubbles from dividend futures
   CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster

2023

2. Multi-horizon uniform superior predictive ability revisited: A size-exploiting and consistent test
   CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster

2022

3. A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction
   CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster
4. Financial-market volatility prediction with multiplicative Markov-switching MIDAS components
   CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (3)
5. Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks
   Working Papers, University of Pretoria, Department of Economics View citations (1)
   See also Journal Article Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks, International Journal of Forecasting, Elsevier (2024) View citations (7) (2024)

2019

6. Sup-ADF-style bubble detection methods under test
   VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy, Verein für Socialpolitik / German Economic Association
   Also in CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster (2019)
   See also Journal Article Sup-ADF-style bubble-detection methods under test, Empirical Economics, Springer (2021) View citations (7) (2021)

2018

7. An approach to increasing forecast-combination accuracy through VAR error modeling
   CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster
   See also Journal Article An approach to increasing forecast‐combination accuracy through VAR error modeling, Journal of Forecasting, John Wiley & Sons, Ltd. (2021) View citations (1) (2021)
8. Forecasting Inflation Uncertainty in the G7 Countries
   CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster
   See also Journal Article Forecasting Inflation Uncertainty in the G7 Countries, Econometrics, MDPI (2018) (2018)

2017

9. A new stock-price bubble with stochastically deflating trajectories
   CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster
   Also in VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association (2017)
   See also Journal Article A new stock-price bubble with stochastically deflating trajectories, Applied Economics Letters, Taylor & Francis Journals (2018) View citations (2) (2018)
10. Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data
    Working Papers, University of Pretoria, Department of Economics
    Also in CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster (2017)
    See also Journal Article Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2022) (2022)
11. Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (2)

2016

12. A new combination approach to reducing forecast errors with an application to volatility forecasting
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster
13. Short selling constraints and stock returns volatility: empirical evidence from the German stock market
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (12)
    See also Journal Article Short selling constraints and stock returns volatility: Empirical evidence from the German stock market, Economic Modelling, Elsevier (2016) View citations (12) (2016)

2015

14. Estimating rational stock-market bubbles with sequential Monte Carlo methods
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster

2014

15. Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster
    See also Journal Article Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach, Journal of Futures Markets, John Wiley & Sons, Ltd. (2016) View citations (7) (2016)

2013

16. Periodically collapsing Evans bubbles and stock-price volatility
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster
    See also Journal Article Periodically collapsing Evans bubbles and stock-price volatility, Economics Letters, Elsevier (2014) View citations (7) (2014)

2012

17. Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (5)
    See also Journal Article Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach, Energy Economics, Elsevier (2013) View citations (74) (2013)
18. The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University
    Also in CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster (2011)
    See also Journal Article The restoration of the gold standard after the US Civil War: A volatility analysis, Journal of Financial Stability, Elsevier (2014) View citations (2) (2014)

2011

19. Markov-switching GARCH models in finance: a unifying framework with an application to the German stock market
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (1)

2010

20. An exact pricing formula for European call options on zero-coupon bonds in the run-up to a currency union
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster

2009

21. Do Individual Index Futures Investors Destabilize the Underlying Spot Market?
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (7)
    See also Journal Article Do individual index futures investors destabilize the underlying spot market?, Journal of Futures Markets, John Wiley & Sons, Ltd. (2011) View citations (15) (2011)
22. Identification of speculative bubbles using state-space models with Markov-switching
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (1)
    See also Journal Article Identification of speculative bubbles using state-space models with Markov-switching, Journal of Banking & Finance, Elsevier (2011) View citations (41) (2011)

2004

23. Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data
    HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) View citations (1)
    See also Journal Article Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data, Empirical Economics, Springer (2007) View citations (4) (2007)

2003

24. Exchange and Interest Rates prior to EMU: The Case of Greece
    Discussion Paper Series, Hamburg Institute of International Economics View citations (1)
    Also in HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2003) View citations (2)
25. Non-Linear Dynamics and Predictable Forecast Errors: An Application to the OECD Forecasts for Germany
    HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA)
    Also in Discussion Paper Series, Hamburg Institute of International Economics (2003)

2001

26. Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes
    Discussion Paper Series, Hamburg Institute of International Economics
    Also in HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2001)
    See also Journal Article Interest Rate Volatility Prior to Monetary Union under Alternative Pre-Switch Regimes, German Economic Review, De Gruyter (2003) View citations (2) (2003)
27. Since When Have FOREX Markets Incorporated EMU into Currency Pricing? Evidence from Four Exchange Rate Series
    Discussion Paper Series, Hamburg Institute of International Economics
    Also in HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2001)
28. The Convergence of International Interest Rates Prior to Monetary Union
    Discussion Paper Series, Hamburg Institute of International Economics
    Also in HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2001)

Journal Articles

2024

1. Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks
   International Journal of Forecasting, 2024, 40, (1), 29-43 View citations (7)
   See also Working Paper Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks, Working Papers (2022) View citations (1) (2022)

2022

2. Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
   Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (1), 73-98
   See also Working Paper Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data, Working Papers (2017) (2017)

2021

3. An approach to increasing forecast‐combination accuracy through VAR error modeling
   Journal of Forecasting, 2021, 40, (4), 686-699 View citations (1)
   See also Working Paper An approach to increasing forecast-combination accuracy through VAR error modeling, CQE Working Papers (2018) (2018)
4. Sup-ADF-style bubble-detection methods under test
   Empirical Economics, 2021, 61, (1), 145-172 View citations (7)
   See also Working Paper Sup-ADF-style bubble detection methods under test, VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy (2019) (2019)

2020

5. Bayesian semiparametric multivariate stochastic volatility with application
   Econometric Reviews, 2020, 39, (9), 947-970 View citations (6)

2018

6. A new stock-price bubble with stochastically deflating trajectories
   Applied Economics Letters, 2018, 25, (15), 1091-1096 View citations (2)
   See also Working Paper A new stock-price bubble with stochastically deflating trajectories, CQE Working Papers (2017) (2017)
7. Forecasting Inflation Uncertainty in the G7 Countries
   Econometrics, 2018, 6, (2), 1-25
   See also Working Paper Forecasting Inflation Uncertainty in the G7 Countries, CQE Working Papers (2018) (2018)

2016

8. A nesting framework for Markov-switching GARCH modelling with an application to the German stock market
   Quantitative Finance, 2016, 16, (3), 411-426 View citations (8)
9. Short selling constraints and stock returns volatility: Empirical evidence from the German stock market
   Economic Modelling, 2016, 58, (C), 159-166 View citations (12)
   See also Working Paper Short selling constraints and stock returns volatility: empirical evidence from the German stock market, CQE Working Papers (2016) View citations (12) (2016)
10. Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach
    Journal of Futures Markets, 2016, 36, (1), 30-45 View citations (7)
    See also Working Paper Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach, CQE Working Papers (2014) (2014)

2014

11. Periodically collapsing Evans bubbles and stock-price volatility
    Economics Letters, 2014, 123, (3), 383-386 View citations (7)
    See also Working Paper Periodically collapsing Evans bubbles and stock-price volatility, CQE Working Papers (2013) (2013)
12. The restoration of the gold standard after the US Civil War: A volatility analysis
    Journal of Financial Stability, 2014, 12, (C), 37-46 View citations (2)
    See also Working Paper The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis, Global COE Hi-Stat Discussion Paper Series (2012) (2012)
13. The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime
    International Review of Economics & Finance, 2014, 29, (C), 483-496

2013

14. Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach
    Energy Economics, 2013, 36, (C), 491-502 View citations (74)
    See also Working Paper Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach, CQE Working Papers (2012) View citations (5) (2012)

2011

15. Do individual index futures investors destabilize the underlying spot market?
    Journal of Futures Markets, 2011, 31, (1), 81-101 View citations (15)
    See also Working Paper Do Individual Index Futures Investors Destabilize the Underlying Spot Market?, CQE Working Papers (2009) View citations (7) (2009)
16. Estimating the degree of interventionist policies in the run-up to EMU
    Applied Economics, 2011, 43, (2), 207-218 View citations (6)
17. Identification of speculative bubbles using state-space models with Markov-switching
    Journal of Banking & Finance, 2011, 35, (5), 1073-1086 View citations (41)
    See also Working Paper Identification of speculative bubbles using state-space models with Markov-switching, CQE Working Papers (2009) View citations (1) (2009)

2009

18. Institutional investors and stock returns volatility: Empirical evidence from a natural experiment
    Journal of Financial Stability, 2009, 5, (2), 170-182 View citations (30)
19. Markov-switching in target stocks during takeover bids
    Journal of Empirical Finance, 2009, 16, (5), 745-758 View citations (9)
20. Volatility regime-switching in European exchange rates prior to monetary unification
    Journal of International Money and Finance, 2009, 28, (2), 240-270 View citations (24)

2007

21. Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data
    Empirical Economics, 2007, 33, (1), 23-39 View citations (4)
    See also Working Paper Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data, HWWA Discussion Papers (2004) View citations (1) (2004)

2003

22. Interest Rate Volatility Prior to Monetary Union under Alternative Pre-Switch Regimes
    German Economic Review, 2003, 4, (4), 433-457 View citations (2)
    Also in German Economic Review, 2003, 4, (4), 433-457 (2003) View citations (2)
    See also Working Paper Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes, Discussion Paper Series (2001) (2001)

2001

23. Exchange rate dynamics in anticipation of time-contingent regime switching: modelling the effects of a possible delay
    Journal of International Money and Finance, 2001, 20, (1), 91-113 View citations (20)

1999

24. Wechselkursdynamik im Vorfeld einer Währungsunion / Exchange Rate Dynamics Prior to Monetary Union
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1999, 218, (1-2), 23-44

1996

25. Lorenz ordering of generalized beta-II income distributions
    Journal of Econometrics, 1996, 71, (1-2), 381-388 View citations (12)
26. Lorenz ordering of power-function order statistics
    Statistics & Probability Letters, 1996, 30, (4), 313-319 View citations (6)

1993

27. The Lorenz-ordering of Singh-Maddala income distributions
    Economics Letters, 1993, 43, (1), 53-57 View citations (20)